An overview of comonotonicity and its applications in finance and insurance

Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool for solving several research and practical problems in the domain of finance and insurance. In this chapter, we give an extensive bibliographic overview --- without claiming to be complete --- of the developments of the theory of comonotonicity and its applications, with an emphasis on the achievements in the period 2004-2010. These applications range from pricing and hedging of derivatives over risk management to life insurance.

@incollection{1245641,
abstract = {Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool for solving several research and practical problems in the domain of finance and insurance. In this chapter, we give an extensive bibliographic overview --- without claiming to be complete --- of the developments of the theory of comonotonicity and its applications, with an emphasis on the achievements in the period 2004-2010. These applications range from pricing and hedging of derivatives over risk management to life insurance.},
author = {Deelstra, Griselda and Dhaene, Jan and Vanmaele, Mich{\`e}le},
booktitle = {Advanced mathematical methods for finance},
editor = {Di Nunno, Giulia and Oksendal, Bernt},
isbn = {9783642184116},
keyword = {derivatives pricing and hedging,risk measurement,life insurance,convex order,Comonotonicity},
language = {eng},
pages = {155--179},
publisher = {Springer},
title = {An overview of comonotonicity and its applications in finance and insurance},
url = {http://dx.doi.org/10.1007/978-3-642-18412-3},
year = {2011},
}